The Impact of Monetary Policy Shocks on Commodity Prices
29 Pages Posted: 8 Aug 2010
There are 3 versions of this paper
The Impact of Monetary Policy Shocks on Commodity Prices
The Impact of Monetary Policy Shocks on Commodity Prices
The Impact of Monetary Policy Shocks on Commodity Prices
Date Written: July 20, 2010
Abstract
Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US monetary policy shocks drove up the broad commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock.
Keywords: Monetary policy Shock, Oil Price, VAR
JEL Classification: E31, E40, C32
Suggested Citation: Suggested Citation
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